Covariance matrix

In probability theory and statistics, a covariance matrix (also known as auto-covariance matrix, dispersion matrix,
variance matrix, or variance–covariance matrix) is a square matrix giving the covariance between each pair of elements
of a given random vector. Any covariance matrix is symmetric and positive semi-definite and its main diagonal contains
variances (i.e., the covariance of each element with itself).

Intuitively, the covariance matrix generalizes the notion of variance to multiple dimensions. As an example, the variation in
a collection of random points in two-dimensional space cannot be characterized fully by a single number, nor would the
variances in the and directions contain all of the necessary information; a matrix would be necessary to fully
characterize the two-dimensional variation.
A bivariate Gaussian probability
The covariance matrix of a random vector is typically denoted by or . density function centered at (0, 0),
with covariance matrix given by

Definition
Throughout this article, boldfaced unsubscripted and are used to refer to random vectors, and Roman subscripted
and are used to refer to scalar random variables.

If the entries in the column vector

are random variables, each with finite variance and expected value, then the covariance matrix is the matrix whose
entry is the covariance[1]: p . 177 

where the operator denotes the expected value (mean) of its argument.
Sample points from a bivariate
Gaussian distribution with a standard
Conflicting nomenclatures and notations deviation of 3 in roughly the lower
left–upper right direction and of 1 in
Nomenclatures differ. Some statisticians, following the probabilist William Feller in his two-volume book An Introduction the orthogonal direction. Because the
to Probability Theory and Its Applications,[2] call the matrix the variance of the random vector , because it is the x and y components co-vary, the
natural generalization to higher dimensions of the 1-dimensional variance. Others call it the covariance matrix, because it variances of and do not fully
is the matrix of covariances between the scalar components of the vector . describe the distribution. A
covariance matrix is needed; the
directions of the arrows correspond
to the eigenvectors of this
Both forms are quite standard, and there is no ambiguity between them. The matrix is also often called the variance- covariance matrix and their lengths
covariance matrix, since the diagonal terms are in fact variances. to the square roots of the
eigenvalues.
By comparison, the notation for the cross-covariance matrix between two vectors is

Properties

Relation to the autocorrelation matrix

The auto-covariance matrix is related to the autocorrelation matrix by

where the autocorrelation matrix is defined as .

Relation to the correlation matrix

An entity closely related to the covariance matrix is the matrix of Pearson product-moment correlation coefficients between each of the random variables in the
random vector , which can be written as

where is the matrix of the diagonal elements of (i.e., a diagonal matrix of the variances of for ).

Equivalently, the correlation matrix can be seen as the covariance matrix of the standardized random variables for .
Each element on the principal diagonal of a correlation matrix is the correlation of a random variable with itself, which always equals 1. Each off-diagonal element
is between −1 and +1 inclusive.

Inverse of the covariance matrix

The inverse of this matrix, , if it exists, is the inverse covariance matrix (or inverse concentration matrix), also known as the precision matrix (or
concentration matrix).[3]

Just as the covariance matrix can be written as the rescaling of a correlation matrix by the marginal variances:

So, using the idea of partial correlation, and partial variance, the inverse covariance matrix can be expressed analogously:

This duality motivates a number of other dualities between marginalizing and conditioning for gaussian random variables.

Basic properties

For and , where is a -dimensional random variable, the following

basic properties apply:[4]

1.
2. is positive-semidefinite, i.e.
3. is symmetric, i.e.
4. For any constant (i.e. non-random) matrix and constant vector , one has
5. If is another random vector with the same dimension as , then where
is the cross-covariance matrix of and .

Block matrices

The joint mean and joint covariance matrix of and can be written in block form

where , and .

and can be identified as the variance matrices of the marginal distributions for and respectively.

If and are jointly normally distributed,

then the conditional distribution for given is given by

[5]

defined by conditional mean

and conditional variance

The matrix is known as the matrix of regression coefficients, while in linear algebra is the Schur complement of in .

The matrix of regression coefficients may often be given in transpose form, , suitable for post-multiplying a row vector of explanatory variables
rather than pre-multiplying a column vector . In this form they correspond to the coefficients obtained by inverting the matrix of the normal equations of ordinary
least squares (OLS).

Partial covariance matrix

A covariance matrix with all non-zero elements tells us that all the individual random variables are interrelated. This means that the variables are not only directly
correlated, but also correlated via other variables indirectly. Often such indirect, common-mode correlations are trivial and uninteresting. They can be suppressed
by calculating the partial covariance matrix, that is the part of covariance matrix that shows only the interesting part of correlations.

If two vectors of random variables and are correlated via another vector , the latter correlations are suppressed in a matrix[6]

The partial covariance matrix is effectively the simple covariance matrix as if the uninteresting random variables were held constant.

Covariance matrix as a parameter of a distribution

If a column vector of possibly correlated random variables is jointly normally distributed, or more generally elliptically distributed, then its probability density
function can be expressed in terms of the covariance matrix as follows[6]

where and is the determinant of .

Covariance matrix as a linear operator

Applied to one vector, the covariance matrix maps a linear combination c of the random variables X onto a vector of covariances with those variables:
. Treated as a bilinear form, it yields the covariance between the two linear combinations: . The variance of a
linear combination is then , its covariance with itself.

Similarly, the (pseudo-)inverse covariance matrix provides an inner product , which induces the Mahalanobis distance, a measure of the
"unlikelihood" of c.

Which matrices are covariance matrices?

From the identity just above, let be a real-valued vector, then

which must always be nonnegative, since it is the variance of a real-valued random variable, so a covariance matrix is always a positive-semidefinite matrix.

The above argument can be expanded as follows:

where the last inequality follows from the observation that is a scalar.

Conversely, every symmetric positive semi-definite matrix is a covariance matrix. To see this, suppose is a symmetric positive-semidefinite matrix. From
the finite-dimensional case of the spectral theorem, it follows that has a nonnegative symmetric square root, which can be denoted by M1/2 . Let be any
column vector-valued random variable whose covariance matrix is the identity matrix. Then

Complex random vectors

The variance of a complex scalar-valued random variable with expected value is conventionally defined using complex conjugation:

where the complex conjugate of a complex number is denoted ; thus the variance of a complex random variable is a real number.
If is a column vector of complex-valued random variables, then the conjugate transpose is formed by both transposing and conjugating.
In the following expression, the product of a vector with its conjugate transpose results in a square matrix called the covariance matrix, as its expectation:[7]: p . 293 

The matrix so obtained will be Hermitian positive-semidefinite,[8] with real numbers in the main diagonal and complex numbers off-diagonal.

Properties

The covariance matrix is a Hermitian matrix, i.e. .[1]: p. 179 

The diagonal elements of the covariance matrix are real.[1]: p. 179 

Pseudo-covariance matrix

For complex random vectors, another kind of second central moment, the pseudo-covariance matrix (also called relation matrix) is defined as follows:

In contrast to the covariance matrix defined above, Hermitian transposition gets replaced by transposition in the definition. Its diagonal elements may be complex
valued; it is a complex symmetric matrix.

Estimation
If and are centred data matrices of dimension and respectively, i.e. with n columns of observations of p and q rows of variables, from
which the row means have been subtracted, then, if the row means were estimated from the data, sample covariance matrices and can be defined to be

or, if the row means were known a priori,

These empirical sample covariance matrices are the most straightforward and most often used estimators for the covariance matrices, but other estimators also exist,
including regularised or shrinkage estimators, which may have better properties.

Applications
The covariance matrix is a useful tool in many different areas. From it a transformation matrix can be derived, called a whitening transformation, that allows one to
completely decorrelate the data or, from a different point of view, to find an optimal basis for representing the data in a compact way (see Rayleigh quotient for a
formal proof and additional properties of covariance matrices). This is called principal component analysis (PCA) and the Karhunen–Loève transform (KL-
transform).

The covariance matrix plays a key role in financial economics, especially in portfolio theory and its mutual fund separation theorem and in the capital asset pricing
model. The matrix of covariances among various assets' returns is used to determine, under certain assumptions, the relative amounts of different assets that
investors should (in a normative analysis) or are predicted to (in a positive analysis) choose to hold in a context of diversification.

Use in optimization

The evolution strategy, a particular family of Randomized Search Heuristics, fundamentally relies on a covariance matrix in its mechanism. The characteristic
mutation operator draws the update step from a multivariate normal distribution using an evolving covariance matrix. There is a formal proof that the evolution
strategy's covariance matrix adapts to the inverse of the Hessian matrix of the search landscape, up to a scalar factor and small random fluctuations (proven for a
single-parent strategy and a static model, as the population size increases, relying on the quadratic approximation).[9] Intuitively, this result is supported by the
rationale that the optimal covariance distribution can offer mutation steps whose equidensity probability contours match the level sets of the landscape, and so they
maximize the progress rate.

Covariance mapping

In covariance mapping the values of the or matrix are plotted as a 2-dimensional map. When vectors and are discrete random
functions, the map shows statistical relations between different regions of the random functions. Statistically independent regions of the functions show up on the
map as zero-level flatland, while positive or negative correlations show up, respectively, as hills or valleys.

In practice the column vectors , and are acquired experimentally as rows of samples, e.g.
where is the i-th discrete value in sample j of the random function . The expected values needed in the covariance formula are estimated using the
sample mean, e.g.

and the covariance matrix is estimated by the sample covariance matrix

where the angular brackets denote sample averaging as before except that the Bessel's correction should be made to avoid bias. Using this estimation the partial
covariance matrix can be calculated as

where the backslash denotes the left matrix division operator, which bypasses the requirement to invert a matrix and is available in some computational packages
such as Matlab.[10]

Fig. 1 illustrates how a partial covariance map is constructed

on an example of an experiment performed at the FLASH
free-electron laser in Hamburg.[11] The random function
is the time-of-flight spectrum of ions from a Coulomb
explosion of nitrogen molecules multiply ionised by a laser
pulse. Since only a few hundreds of molecules are ionised at
each laser pulse, the single-shot spectra are highly fluctuating.
However, collecting typically such spectra, ,
and averaging them over produces a smooth spectrum
, which is shown in red at the bottom of Fig. 1. The
average spectrum reveals several nitrogen ions in a form
of peaks broadened by their kinetic energy, but to find the
correlations between the ionisation stages and the ion
momenta requires calculating a covariance map.

In the example of Fig. 1 spectra and are the

same, except that the range of the time-of-flight differs. Panel
a shows , panel b shows and panel c
shows their difference, which is (note a change in
the colour scale). Unfortunately, this map is overwhelmed by
uninteresting, common-mode correlations induced by laser
intensity fluctuating from shot to shot. To suppress such
correlations the laser intensity is recorded at every shot, put
into and is calculated as panels d and e
show. The suppression of the uninteresting correlations is,
however, imperfect because there are other sources of
Figure 1: Construction of a partial covariance map of N2 molecules undergoing Coulomb
common-mode fluctuations than the laser intensity and in
explosion induced by a free-electron laser.[11] Panels a and b map the two terms of the covariance
principle all these sources should be monitored in vector . Yet
matrix, which is shown in panel c. Panel d maps common-mode correlations via intensity fluctuations
in practice it is often sufficient to overcompensate the partial
of the laser. Panel e maps the partial covariance matrix that is corrected for the intensity fluctuations.
covariance correction as panel f shows, where interesting
Panel f shows that 10% overcorrection improves the map and makes ion-ion correlations clearly
correlations of ion momenta are now clearly visible as straight
visible. Owing to momentum conservation these correlations appear as lines approximately
lines centred on ionisation stages of atomic nitrogen.
perpendicular to the autocorrelation line (and to the periodic modulations which are caused by detector
ringing).
Two-dimensional infrared spectroscopy

Two-dimensional infrared spectroscopy employs correlation analysis to obtain 2D spectra of the condensed phase. There are two versions of this analysis:
synchronous and asynchronous. Mathematically, the former is expressed in terms of the sample covariance matrix and the technique is equivalent to covariance
mapping.[12]

See also
Covariance function
Multivariate statistics
Lewandowski-Kurowicka-Joe distribution
Gramian matrix
Eigenvalue decomposition
Quadratic form (statistics)
Principal components

References
1. Park,Kun Il (2018). Fundamentals of Probability and Stochastic 2. William Feller (1971). An introduction to probability theory and its
Processes with Applications to Communications. Springer. applications (https://books.google.com/books?id=K7kdAQAAMAA
ISBN 978-3-319-68074-3. J). Wiley. ISBN 978-0-471-25709-7. Retrieved 10 August 2012.
 3. Wasserman, Larry (2004). All of Statistics: A Concise Course in
Statistical Inference (https://archive.org/details/springer_10.1007-97
8-0-387-21736-9). ISBN 0-387-40272-1.
4. Taboga, Marco (2010). "Lectures on probability theory and
mathematical statistics" (http://www.statlect.com/varian2.htm).
5. Eaton, Morris L. (1983). Multivariate Statistics: a Vector Space
Approach. John Wiley and Sons. pp. 116–117. ISBN 0-471-02776-
6.
6. W J Krzanowski "Principles of Multivariate Analysis" (Oxford
University Press, New York, 1988), Chap. 14.4; K V Mardia, J T
Kent and J M Bibby "Multivariate Analysis (Academic Press,
London, 1997), Chap. 6.5.3; T W Anderson "An Introduction to
Multivariate Statistical Analysis" (Wiley, New York, 2003), 3rd ed.,
Chaps. 2.5.1 and 4.3.1.
7. Lapidoth, Amos (2009). A Foundation in Digital Communication.
Cambridge University Press. ISBN 978-0-521-19395-5.
8. Brookes, Mike. "The Matrix Reference Manual" (http://www.ee.ic.ac.
uk/hp/staff/dmb/matrix/expect.html).
9. Shir, O.M.; A. Yehudayoff (2020). "On the covariance-Hessian
relation in evolution strategies" (https://doi.org/10.1016%2Fj.tcs.201
9.09.002). Theoretical Computer Science. Elsevier. 801: 157–174.
doi:10.1016/j.tcs.2019.09.002 (https://doi.org/10.1016%2Fj.tcs.201
9.09.002).
10. L J Frasinski "Covariance mapping techniques" J. Phys. B: At. Mol.
Opt. Phys. 49 152004 (2016), open access (http://iopscience.iop.or
g/article/10.1088/0953-4075/49/15/152004)
11. O Kornilov, M Eckstein, M Rosenblatt, C P Schulz, K Motomura, A
Rouzée, J Klei, L Foucar, M Siano, A Lübcke, F. Schapper, P
Johnsson, D M P Holland, T Schlatholter, T Marchenko, S Düsterer,
K Ueda, M J J Vrakking and L J Frasinski "Coulomb explosion of
diatomic molecules in intense XUV fields mapped by partial
covariance" J. Phys. B: At. Mol. Opt. Phys. 46 164028 (2013), open
access (http://hdl.handle.net/10044/1/12267)
12. I Noda "Generalized two-dimensional correlation method
applicable to infrared, Raman, and other types of spectroscopy"
Appl. Spectrosc. 47 1329–36 (1993)

Further reading
"Covariance matrix" (https://www.encyclopediaofmath.org/index.php?title=Covariance_matrix), Encyclopedia of Mathematics, EMS Press,
2001 [1994]
"Covariance Matrix Explained With Pictures (https://thekalmanfilter.com/covariance-matrix-explained/)", an easy way to visualize covariance
matrices!
Weisstein, Eric W. "Covariance Matrix" (https://mathworld.wolfram.com/CovarianceMatrix.html). MathWorld.
van Kampen, N. G. (1981). Stochastic processes in physics and chemistry (https://archive.org/details/stochasticproces0000kamp). New York:
North-Holland. ISBN 0-444-86200-5.

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